using IB, should I consider a different market data feed?

[Risk619]

Thanks to everyone who's replied in this thread, it's really helped. I've been reading and googling around some of the other vendors mentioned and some other threads.

imho, that should be the last of your worries. IB feed is good enough for automatic trading at any "frequency" which can make any sense for automated real trading (via API and internet connection).

First, focus on methodology and implementation issues. If, later on, should any problem arise with data, you con focus on it later (should you have some time left for that). But it's likely you will never need to worry about any data feed "improvement".

(It's obvious that third party vendors or affiliated have to invent all sort of excuses and fantasy reasons to justify their marketing efforts: it's actually their right and duty.)

This is about where I ended up yesterday. I already code against interfaces for market data and order execution, so it wouldn't be that hard to switch later on if I need to. But in the mean time until there's a problem I'll try to go with the cheaper approach and minimize the amount of people I'm paying money too.

 

[moonmist]

This was discussed on the TWSAPI group (https://groups.yahoo.com/neo/groups/TWSAPI/conversations/messages). The conclusion seemed to be that the reqRealTimeBarsEx() method preserves true high and low for the time period. Nothing is lost in the sampling. So someone building time bars should probably use that function.

Regarding the accuracy of volume data, the most commonly used data request was the reqMktDataEx() method, which returns streaming data in the tickPrice() and tickSize() events. The user would then estimate volume by summing size events. The results were pretty unsatisfactory. The tick event returned bid, ask, and last, but matching tick and size was also never entirely straightforward.

A user called Kiwi, who manages to combine the first two feeds from IB for the Sierra Chart community:

https://www.sierrachart.com/SupportBoard.php?ThreadID=8341

I think Kiwi stops posting on Elite Trader years ago.

More recently IB introduced the RTVolume ticktype which returns trade price, size, time, cumulative volume, VWAP, and single-trade flag in one event.

I am not aware of this data feed. Maybe Kiwi is working on it now.

It's my understanding that CME conflates some trade data before they release it. I am not clear whether that a more complete data feed is available or who can get it.

I know nothing about this. Hence, I posted this question on Sierra Chart Support Board. Unfortunately they know nothing about it either.

https://www.sierrachart.com/SupportBoard.php?ThreadID=11542#P49798

 

[barata]

Another thing about IB's datafeed, they seem to turn it off sometime Friday afternoon and resume it Sunday afternoon. So good luck if you want to use it on the weekend or even Friday night.